Performance

GD-0.50%SPY+19.23%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
GD	+0.42%	-3.53%	-0.50%	+9.78%	-17.51%	-0.11
SPY	+0.60%	+13.96%	+19.23%	+11.83%	-9.13%	1.11

Summary

GD vs SPY

Over the past year, SPY returned +19.23% against -0.50% for GD. Over five years, SPY averaged +11.83% a year, compared with +9.78% for GD. SPY had the higher Sharpe ratio over the past year (1.11 vs -0.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -17.51% for GD.

Current Drawdown

GD-16.34%SPY-0.07%

Rolling Volatility

GD+0.94%SPY+0.62%

METRICS

Correlation Matrix

	GD	SPY
GD	1.00	0.22
SPY	0.22	1.00

Metrics

Risk Indicators

GDSPY

Alpha

-7.88%

0.00%

Beta

0.38x

1.00x

Sharpe

-0.11

1.11

Sortino

-0.17

1.64

Omega

0.98

1.20

Calmar

-0.03

2.11

Martin

-0.39

6.38

Comparisons

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GD vs SPY: returns, Sharpe ratio and drawdown

GD vs SPY

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